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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/133653
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/133653


    Title: Tiered Information Disclosure: An Empirical Analysis of the Advance Peek into the Michigan Index of Consumer Sentiment
    Authors: 張元晨
    Chang, Yuanchen
    Wu, Weishao
    Liu, Wenchien
    Suardi, Sandy
    Contributors: 財管系
    Keywords: informed trading;high-frequency traders;advance peek;information efficiency;price discovery
    Date: 2019-08
    Issue Date: 2021-01-21 09:47:06 (UTC+8)
    Abstract: This paper studies market microstructure implications of informed high‐frequency traders (HFTs) from two seconds of advance peek into the Michigan Index of Consumer Sentiment (ICS), provided by Thomson Reuters to its elite customers. Using individual stocks in the NASDAQ data set, we show how HFTs trade around ICS events. We find that liquidity demanders during two seconds of advance peek earn substantive profits, which are consistent with the notion that HFTs’ informational advantages may increase adverse selection costs for other market participants. This evidence elucidates the debate on regulatory oversight and its role in circumventing the potentially adverse effects from an advance peek into ICS.
    Relation: Financial Review, Vol.54, pp.541-582
    Data Type: article
    DOI 連結: https://doi.org/10.1111/fire.12184
    DOI: 10.1111/fire.12184
    Appears in Collections:[財務管理學系] 期刊論文

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